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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file fdg2swaptionengine.cpp
*/
#include <ql/exercise.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
#include <ql/pricingengines/swaption/fdg2swaptionengine.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
#include <ql/methods/finitedifferences/solvers/fdmg2solver.hpp>
#include <ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <boost/scoped_ptr.hpp>
namespace QuantLib {
FdG2SwaptionEngine::FdG2SwaptionEngine(
const boost::shared_ptr<G2>& model,
Size tGrid, Size xGrid, Size yGrid,
Size dampingSteps, Real invEps,
const FdmSchemeDesc& schemeDesc)
: GenericModelEngine<G2, Swaption::arguments, Swaption::results>(model),
tGrid_(tGrid),
xGrid_(xGrid),
yGrid_(yGrid),
dampingSteps_(dampingSteps),
invEps_(invEps),
schemeDesc_(schemeDesc) {
}
void FdG2SwaptionEngine::calculate() const {
// 1. Term structure
const Handle<YieldTermStructure> ts = model_->termStructure();
// 2. Mesher
const DayCounter dc = ts->dayCounter();
const Date referenceDate = ts->referenceDate();
const Time maturity = dc.yearFraction(referenceDate,
arguments_.exercise->lastDate());
const boost::shared_ptr<OrnsteinUhlenbeckProcess> process1(
new OrnsteinUhlenbeckProcess(model_->a(), model_->sigma()));
const boost::shared_ptr<OrnsteinUhlenbeckProcess> process2(
new OrnsteinUhlenbeckProcess(model_->b(), model_->eta()));
const boost::shared_ptr<Fdm1dMesher> xMesher(
new FdmSimpleProcess1dMesher(xGrid_,process1,maturity,1,invEps_));
const boost::shared_ptr<Fdm1dMesher> yMesher(
new FdmSimpleProcess1dMesher(yGrid_,process2,maturity,1,invEps_));
const boost::shared_ptr<FdmMesher> mesher(
new FdmMesherComposite(xMesher, yMesher));
// 3. Inner Value Calculator
const std::vector<Date>& exerciseDates = arguments_.exercise->dates();
std::map<Time, Date> t2d;
for (Size i=0; i < exerciseDates.size(); ++i) {
const Time t = dc.yearFraction(referenceDate, exerciseDates[i]);
QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
t2d[t] = exerciseDates[i];
}
const Handle<YieldTermStructure> disTs = model_->termStructure();
const Handle<YieldTermStructure> fwdTs
= arguments_.swap->iborIndex()->forwardingTermStructure();
QL_REQUIRE(fwdTs->dayCounter() == disTs->dayCounter(),
"day counter of forward and discount curve must match");
QL_REQUIRE(fwdTs->referenceDate() == disTs->referenceDate(),
"reference date of forward and discount curve must match");
const boost::shared_ptr<G2> fwdModel(
new G2(fwdTs, model_->a(), model_->sigma(),
model_->b(), model_->eta(), model_->rho()));
const boost::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmAffineModelSwapInnerValue<G2>(
model_.currentLink(), fwdModel,
arguments_.swap, t2d, mesher, 0));
// 4. Step conditions
const boost::shared_ptr<FdmStepConditionComposite> conditions =
FdmStepConditionComposite::vanillaComposite(
DividendSchedule(), arguments_.exercise,
mesher, calculator, referenceDate, dc);
// 5. Boundary conditions
const FdmBoundaryConditionSet boundaries;
// 6. Solver
FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
calculator, maturity,
tGrid_, dampingSteps_ };
const boost::scoped_ptr<FdmG2Solver> solver(
new FdmG2Solver(model_, solverDesc, schemeDesc_));
results_.value = solver->valueAt(0.0, 0.0);
}
}
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